How to load selections in Photoshop

Hi I am trying to save a selection in one document then open a new document and load the selection from the previous one. However in the Document drop down I only have the current document available and not the previous one (which is still open as well). Am I doing something wrong? Thanks

The easiest way I can think to do this is to set the selection in the current document, create a empty layer, fill with color (based on your selection) and then drag that layer to the new document. Place accordingly and then command(ctrl) click the layer to turn into an active selection area again.